问题如下：
A European put option has two years to expiration and a strike price of $101.00. The underlying is a 7% annual coupon bond with three years to maturity. Assume that the risk-neutral probability of an up move is 0.76 in year 1 and 0.60 in year 2. The current interest rate is 3.00% At the end of year l, the rate will either be 5.99% or 4.44%. If the rate in year 1 is 5.99%, it will either rise to 8.56% or rise to 6.34% in year 2. If the rate in one year is 4.44%, it will either rise to 6.34% or rise to 4.70%. The value of the put option today is closest to:
选项：
A. $1.17.
B. $1.30.
C. $1.49.
D. $1.98.
解释：
This is the same underlying bond and interest rate tree as in the call option example from this topic. However, here we are valuing a put option.
The option value in the upper node at the end of year 1 is computed as:
The option value in the lower node at the end of year 1 is computed as:
The option value today is computed as:
2.44、0.38和0是option在t=2时刻的价格，把它们分别按概率往1时刻折现的时候不应该加上7块钱的coupon吗？同理t=1时刻往0时刻折现也应该有coupon吧，但答案好像没有算？
